Managed Futures Composite
Executive Summary
The MANAGED fUTURES STRATEGY seeks positive absolute returns over a full market cycle with low correlation to equity markets during periods of dislocation. The investment approach will take long and/or short positions in a variety of markets using systematic trading disciplines and multi-horizon trend signals to exploit market moves. The strategy may hold positions in a variety of markets through instruments such as futures, forwards, fixed income securities and other instruments. Portfolio volatility is monitored and actively managed in an effort to maintain and stabilize a moderate level of volatility. The benchmark is the SG Trend Index.
Portfolios included in the Composite will use derivatives in pursuit of the investment objective, alpha generation, and management of overall market exposure. Derivatives may be used to obtain long or short exposure to a particular asset class, region, currency, commodity, or index. The derivative instruments used may include, but are not limited to, exchange-traded futures contracts on equity indexes, government bonds, interest rates, and commodities, as well as foreign exchange forward contracts. Foreign exchange forwards are traded over the counter and are subject to counterparty default risk. In addition, futures and forward contracts generally have implied leverage, meaning the overall contract value is much greater than the value of the margin used to enter into the derivative contract. Accordingly, the impact of any gains or losses on those investments may be magnified. A portfolio's total gross market exposure, defined as the sum of all long positions plus the sum of the absolute value of all short positions, may be substantially higher than 100% of the portfolio's market value. Notional exposure of the futures and currency forward positions within a portfolio will be scaled regularly in an attempt to contain return volatility within a target range.
Register to get access to the managed futures database
Get the Full Picture!
See detailed analysis of this investment, and gain access to our complete database where you can:
- Save Investments to a Watchlist and Follow Managers
- Build Portfolios and Create Custom Multi-Manager Blends
- Export Performance Data and Download Research Reports
Disclaimer Info
The performance data displayed herein is compiled from various sources, including BarclayHedge, and reports directly from the advisors. These performance figures should not be relied on independent of the individual advisor's disclosure document, which has important information regarding the method of calculation used, whether or not the performance includes proprietary results, and other important footnotes on the advisor's track record.
The programs listed here are a sub-set of the full list of programs able to be accessed by subscribing to the database and reflect programs we currently work with and/or are more familiar with.
Benchmark index performance is for the constituents of that index only, and does not represent the entire universe of possible investments within that asset class. And further, that there can be limitations and biases to indices such as survivorship, self reporting, and instant history. Individuals cannot invest in the index itself, and actual rates of return may be significantly different and more volatile than those of the index.
Managed futures accounts can subject to substantial charges for management and advisory fees. The numbers within this website include all such fees, but it may be necessary for those accounts that are subject to these charges to make substantial trading profits in the future to avoid depletion or exhaustion of their assets.
Investors interested in investing with a managed futures program (excepting those programs which are offered exclusively to qualified eligible persons as that term is defined by CFTC regulation 4.7) will be required to receive and sign off on a disclosure document in compliance with certain CFT rules The disclosure documents contains a complete description of the principal risk factors and each fee to be charged to your account by the CTA, as well as the composite performance of accounts under the CTA's management over at least the most recent five years. Investor interested in investing in any of the programs on this website are urged to carefully read these disclosure documents, including, but not limited to the performance information, before investing in any such programs.
Those investors who are qualified eligible persons as that term is defined by CFTC regulation 4.7 and interested in investing in a program exempt from having to provide a disclosure document and considered by the regulations to be sophisticated enough to understand the risks and be able to interpret the accuracy and completeness of any performance information on their own.
RCM may receive a portion of the commodity brokerage commissions you pay in connection with your futures trading and/or a portion of the interest income (if any) earned on an account's assets. The listed manager may also pay RCM a portion of the fees they receive from accounts introduced to them by RCM.
Limitations on RCM Quintile + Star Rankings
The Quintile Rankings and RCM Star Rankings shown here are provided for informational purposes only. RCM does not guarantee the accuracy, timeliness or completeness of this information. The ranking methodology is proprietary and the results have not been audited or verified by an independent third party. Some CTAs may employ trading programs or strategies that are riskier than others. CTAs may manage customer accounts differently than their model results shown or make different trades in actual customer accounts versus their own accounts. Different CTAs are subject to different market conditions and risks that can significantly impact actual results. RCM and its affiliates receive compensation from some of the rated CTAs. Investors should perform their own due diligence before investing with any CTA. This ranking information should not be the sole basis for any investment decision.
See the full terms of use and risk disclaimer here.